Forward-backward stochastic differential equations: initiation, development and beyond
DOI10.3934/NACO.2022011zbMATH Open1515.60227OpenAlexW4285135851WikidataQ115218769 ScholiaQ115218769MaRDI QIDQ6164084FDOQ6164084
Authors: Jiongmin Yong 
Publication date: 26 July 2023
Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/naco.2022011
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backward stochastic partial differential equationsforward-backward stochastic differential equationrepresentation theoremmartingale problemfour-step scheme
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic systems (35K40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stochastic control (93E20)
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